Show simple item record

dc.contributor.authorAbi Jaber, Eduardo
dc.date.accessioned2019-02-21T10:43:39Z
dc.date.available2019-02-21T10:43:39Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18476
dc.language.isoenen
dc.subjectStochastic volatilityen
dc.subjectimplied volatilityen
dc.subjectaffine Volterra processesen
dc.subjectrough volatilityen
dc.subjectRiccati equationsen
dc.subject.ddc519en
dc.subject.classificationjelC.C0.C02en
dc.titleLifting the Heston modelen
dc.typeDocument de travail / Working paper
dc.description.abstractenHow to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but mean reverting at different speeds. Our model nests as extreme cases the classical Heston model (when n = 1), and the rough Heston model (when n goes to infinity). We show that the lifted model enjoys the best of both worlds: Markovianity and satisfactory fits of implied volatility smiles for short maturities with very few parameters. Further, our approach speeds up the calibration time and opens the door to time-efficient simulation schemes.en
dc.identifier.citationpages29en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01890751en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-10
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-02-21T10:38:27Z
hal.person.labIds60


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record